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DOSPortfolio  

Dynamic Optimal Shrinkage Portfolio
View on CRAN: Click here


Download and install DOSPortfolio package within the R console
Install from CRAN:
install.packages("DOSPortfolio")

Install from Github:
library("remotes")
install_github("cran/DOSPortfolio")

Install by package version:
library("remotes")
install_version("DOSPortfolio", "0.1.0")



Attach the package and use:
library("DOSPortfolio")
Maintained by
Erik Thorsén
[Scholar Profile | Author Map]
First Published: 2021-09-13
Latest Update: 2021-09-13
Description:
Constructs dynamic optimal shrinkage estimators for the weights of the global minimum variance portfolio which are reconstructed at given reallocation points as derived in Bodnar, Parolya, and Thors
How to cite:
Erik Thorsén (2021). DOSPortfolio: Dynamic Optimal Shrinkage Portfolio. R package version 0.1.0, https://cran.r-project.org/web/packages/DOSPortfolio. Accessed 29 Mar. 2025.
Previous versions and publish date:
No previous versions
Other packages that cited DOSPortfolio R package
View DOSPortfolio citation profile
Other R packages that DOSPortfolio depends, imports, suggests or enhances
Complete documentation for DOSPortfolio
Downloads during the last 30 days
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